Title: A note on estimation of the common component in dynamic factor models Authors:  Jan Bruha - CNB (Czech Republic) [presenting]
Abstract: The purpose is to propose an approach to generalized dynamic factor models that is non-parametric and genuinely dynamic. At the same time, the common component is estimable on the whole sample. The approach is based on the combination of the Brillinger principal component analysis in the frequency domain with the linear projection in the time domain. The approach described avoids estimating static factors at the sample's end or the dynamic factors' VAR representation. Moreover, the proposed approach can accommodate missing data due to asynchronous data realise.